Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 3 3
Score -4.68 -4.96 -6.7
Market Cap (Millions USD) 254.06 233.01 235.01
Predicted Beta 0.21 0.19 0.21
Idiosyncratic Volatility 2.17 1.76 2.59

Annualized return and volatility

EWI
Annualized Return 0.0137
Annualized Std Dev 0.2744
Annualized Sharpe (Rf=0%) 0.0498

Row

Daily Return Statistics

EWI
Observations 5112.0000
NAs 2.0000
Minimum -0.1495
Quartile 1 -0.0077
Median 0.0004
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0087
Maximum 0.1528
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0173
Skewness -0.1160
Kurtosis 6.7023

Downside Risk

EWI
Semi Deviation 0.0125
Gain Deviation 0.0121
Loss Deviation 0.0132
Downside Deviation (MAR=210%) 0.0170
Downside Deviation (Rf=0%) 0.0124
Downside Deviation (0%) 0.0124
Maximum Drawdown 0.7038
Historical VaR (95%) -0.0271
Historical ES (95%) -0.0417
Modified VaR (95%) -0.0265
Modified ES (95%) -0.0435
From Trough To Depth Length To Trough Recovery
2007-05-08 2009-03-09 NA -0.7038 3238 474 NA
2001-01-19 2001-09-21 2004-02-11 -0.4465 784 170 614
2000-02-24 2000-10-18 2000-12-28 -0.2163 218 169 49
2006-05-11 2006-06-13 2006-08-29 -0.1133 78 23 55
2004-02-12 2004-03-24 2004-07-07 -0.0989 101 29 72

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWI
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 0.8 0.5 0.0 0.5 1.3 0.0 -0.8 2.8 0.0 0.3 -1.9 0.0 3.5
2001 0.7 0.2 0.0 0.9 -1.0 0.0 0.0 0.0 -2.0 1.0 0.0 0.0 -0.2
2002 0.3 -0.3 1.1 1.6 0.0 1.7 -2.0 0.0 0.8 -0.6 0.0 0.0 2.6
2003 0.0 0.0 0.9 0.0 0.0 -1.6 -0.4 0.0 1.8 0.0 2.4 0.0 3.2
2004 0.0 1.5 0.9 0.0 0.3 -0.6 0.0 0.9 2.0 -0.2 1.8 0.0 6.8
2005 1.0 -0.5 -0.8 0.0 0.4 -0.8 0.7 1.5 0.0 -0.2 1.2 0.0 2.6
2006 0.1 0.4 0.0 -0.5 0.9 0.0 -0.4 0.5 0.0 0.1 -0.5 0.0 0.5
2007 -0.2 -1.8 0.0 0.1 -0.7 0.0 0.5 0.0 2.2 -2.8 0.0 0.0 -2.7
2008 0.1 0.0 2.4 0.7 0.0 -1.0 -0.8 0.0 0.6 0.0 -9.2 0.0 -7.4
2009 0.0 0.0 1.7 2.1 2.4 1.5 0.0 -3.0 -2.8 0.0 2.7 0.0 4.3
2010 2.4 0.5 2.0 0.0 -2.6 2.9 0.0 4.3 0.8 -1.8 4.0 0.0 13.0
2011 3.3 -1.8 0.7 0.0 -2.7 1.6 -3.6 -1.6 0.0 -7.0 -0.5 0.0 -11.4
2012 2.2 3.3 0.0 0.5 -1.6 0.0 0.0 0.0 2.0 1.9 0.0 0.0 8.5
2013 0.6 -1.5 -1.4 -1.4 0.0 1.6 2.3 0.0 2.5 -1.4 0.0 0.0 1.3
2014 0.0 0.0 1.4 -0.1 0.0 1.4 -0.6 0.0 -1.3 0.0 -0.9 0.0 -0.2
2015 0.0 0.0 1.3 1.5 -0.4 1.3 0.0 -2.6 -0.3 0.0 0.2 0.0 1.0
2016 -0.3 3.5 -1.3 0.0 -0.6 -0.3 -2.2 0.7 0.0 -1.0 1.1 0.0 -0.5
2017 0.0 1.6 0.0 0.5 1.3 0.0 0.4 0.5 0.0 0.5 -0.5 0.0 4.4
2018 1.2 -0.4 0.0 -0.4 0.2 0.0 -2.0 0.0 -0.6 2.0 0.0 0.0 -0.2
2019 -0.8 0.6 1.0 -0.8 0.0 -0.7 -0.4 0.0 -1.0 1.2 0.0 -0.4 -1.2

Row

Rolling Performance Chart

Snail Trail Chart